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Algorithm uses Relative Strength Index (RSI) to control entry into market, and then martingale to double down on losses when the trade goes wrong.
It attempts to break even but once the leverage is maxed out it declares failure and liquidates.
I wanted to demonstrate the characteristic dramatic crash that eventually happens with martingale strategies which happened here in Nov-2007 and Oct-2011.
RSI and SetHoldings classes taken from the Community Code Library.
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Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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